Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0269 |
| Annualized Std Dev | 0.1917 |
| Annualized Sharpe (Rf=0%) | -0.1404 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4715.0000 |
| NAs | 1.0000 |
| Minimum | -0.2187 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0043 |
| Maximum | 0.1897 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | -0.4971 |
| Kurtosis | 59.8024 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0088 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.7485 |
| Historical VaR (95%) | -0.0138 |
| Historical ES (95%) | -0.0282 |
| Modified VaR (95%) | -0.0070 |
| Modified ES (95%) | -0.0070 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-03 | 2008-12-15 | NA | -0.7485 | 3496 | 410 | NA |
| 2002-07-18 | 2004-05-13 | 2005-07-28 | -0.1752 | 764 | 460 | 304 |
| 2006-02-01 | 2006-02-06 | 2006-10-31 | -0.1046 | 190 | 4 | 186 |
| 2005-09-14 | 2005-10-18 | 2006-01-03 | -0.0799 | 77 | 25 | 52 |
| 2007-01-03 | 2007-02-22 | 2007-03-14 | -0.0359 | 49 | 35 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | -0.5 | 0 | -0.6 | -1.5 | 1 | -0.2 | 0.9 | -0.9 |
| 2003 | -0.3 | 0 | 0 | -0.3 | -0.2 | 0.6 | -1.6 | 0.8 | 0.2 | 0.4 | -0.5 | 0.3 | -0.6 |
| 2004 | 0.1 | -0.5 | 0 | 0.8 | -0.2 | 0.6 | 0 | 0.3 | -0.1 | 0.1 | 0.1 | -0.2 | 0.9 |
| 2005 | 0.1 | 0.4 | 0.6 | 0 | 0.9 | 0 | -0.5 | 0.3 | 0 | -0.1 | 0.9 | -0.1 | 2.7 |
| 2006 | -2.4 | 0.1 | 0.5 | 0.5 | 0.5 | 0.5 | 0.1 | 0.1 | 0.5 | 0.6 | 0.1 | 1 | 2 |
| 2007 | 0.5 | 0.1 | 0.1 | 0.5 | 0.4 | 0.9 | -0.1 | 0.5 | 0.3 | -0.3 | -0.8 | -0.7 | 1.4 |
| 2008 | 0.2 | -3 | 0.3 | 0.1 | -0.3 | -0.8 | -0.4 | 0 | 3.3 | 3.5 | -11.3 | 6.2 | -3.3 |
| 2009 | 1.4 | 0 | 4.3 | -3.5 | -0.8 | -3.7 | -1.5 | 2.1 | 0.3 | -0.5 | -0.7 | 0 | -2.9 |
| 2010 | -0.5 | -1.3 | 0.6 | -1.4 | -0.4 | 1 | 0 | 0.7 | 0.2 | 0.7 | -0.7 | 0.6 | -0.6 |
| 2011 | 1.2 | 0.9 | 0.5 | 0.3 | 0.8 | 0.4 | 2.1 | 0 | 0.5 | 0.5 | 0.4 | 0.1 | 8 |
| 2012 | 0.5 | 0.9 | -0.2 | 1 | 0.4 | 0.1 | 0.6 | 0.2 | 1.6 | -0.2 | 0.1 | 1 | 6 |
| 2013 | 0.2 | 0.3 | -0.1 | 0.2 | -2.5 | 0.4 | -0.3 | 0 | 1.1 | -1.1 | 0 | -0.2 | -2.1 |
| 2014 | 0.9 | 0.7 | -0.2 | 0 | 0.7 | 0.8 | 0 | -0.1 | 0.1 | 0.2 | 0.3 | 0.4 | 3.9 |
| 2015 | 0.3 | 0.8 | 0.4 | -0.3 | 0.8 | 0.5 | 0.3 | -0.2 | 0.9 | 0.5 | 0.6 | 0.6 | 5.5 |
| 2016 | 0.2 | 0.1 | 0 | 0.4 | 0.9 | 1.4 | -0.3 | -1.1 | 0.8 | -0.6 | -1.4 | 0.2 | 0.6 |
| 2017 | -0.4 | -0.7 | 0.2 | 0 | 0.4 | 0.3 | -0.4 | 0.2 | 0 | -0.3 | 0.3 | -0.5 | -0.9 |
| 2018 | -0.1 | 0.1 | 0.9 | 0.2 | -0.5 | -0.2 | 0.2 | 1.4 | 0.9 | 0.3 | 0.3 | -0.3 | 3.2 |
| 2019 | 1.2 | 0.1 | -0.4 | -0.1 | 1.5 | 0 | 0.5 | 0.5 | 0 | 0.8 | 0.7 | -1.1 | 3.8 |
| 2020 | 0.4 | -1.1 | -0.7 | -1.8 | 1.1 | 0.6 | 0.5 | 1.2 | 0 | 0.3 | -0.5 | 0.3 | 0.2 |
| 2021 | 0.6 | 1 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
